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MULTIVARIATE STABLE FUTURES PRICES - MaRDI portal

MULTIVARIATE STABLE FUTURES PRICES (Q3126228)

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MULTIVARIATE STABLE FUTURES PRICES
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    title
    MULTIVARIATE STABLE FUTURES PRICES (English)
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    author
    Benny N. Cheng
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    Svetlozar T. Rachev
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    publication date
    28 May 1997
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    zbMATH DE Number
    994122
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    zbMATH Keywords
    stable portfolio
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    Pareto-Levy distribution
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    domain of attraction
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    multivariate stable Pareto law
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    tail estimators
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    index of stability parameter
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    spectral measure
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    association
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    portfolio risk
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    covariation
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    OpenAlex ID
    W1970207640
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